I'll explain the important facts about compiling Tank 3 with Microsoft Visual C++ here.
Other IDE's like Borland C++ and Dev-C++ are similar, but things are at different locations.

What do I need to compile Tank 3?

You need Microsoft Visual C++ or a similar compiler. There's a free IDE called "Dev-C++" on www.bloodshed.net.
You also need the DirectX SDK from www.microsoft.com (Version 8.0 or higher).

How do I include the DirectX SDK into Visual C++?

This answer is for Visual C++. Other IDEs have similar machanisms.
1. Install the DirectX SDK. I'll assume you've installed it to c:\mssdk for now.
2. Go into Visual C++, open the "extras" menu and choose "options". Go to the "Folders" section.
Choose "include files" in the right listbox. Now add "c:\mssdk\include" to the folder list and move the new
entry to the top of the list.
Next, choose "library files" in the listbox and add "c:\mssdk\lib" to the folder list and move the new
entry to the top of the list.